Author Page for Yifeng Zhu

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming

Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020

Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu

Kent State University, Renmin University of China - School of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics

Downloads 2,109 (16,310)

Citation 28

Abstract:

2.

Which Proxy: Capturing Lottery Feature through Aggregation

Financial Management Forthcoming

Number of pages: 91 Posted: 04 Jun 2020 Last Revised: 21 Jan 2025

Lei Jiang, Guofu Zhou and Yifeng Zhu

Kent State University, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics

Downloads 1,712 (22,629)

Abstract:

3.

Salience Theory in Price and Trading Volume: Evidence from China

Journal of Empirical Finance, Vol. 70, 2023

Number of pages: 74 Posted: 10 Nov 2021 Last Revised: 03 Sep 2024

Kaisi Sun, Hui Wang and Yifeng Zhu

Central University of Finance and Economics, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 619 (94,511)

Citation 4

Abstract:

4.

Is Idiosyncratic Asymmetry Priced in Commodity Futures?

Number of pages: 41 Posted: 07 Jun 2019 Last Revised: 31 Jan 2023

Yufeng Han, Xuan Mo, Zhi Su and Yifeng Zhu

University of North Carolina (UNC) at Charlotte - Finance, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics

Downloads 593 (99,841)

Citation 2

Abstract:

5.

Fama-MacBeth Regression with Asset Pricing Restriction

Number of pages: 77 Posted: 14 May 2024

Yuanqi Yang, Guofu Zhou and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics

Downloads 432 (146,982)

Abstract:

6.

Stock Return Asymmetry in China

Pacific-Basin Finance Journal, Vol. 73, 101757, 2022

Number of pages: 58 Posted: 19 Feb 2021 Last Revised: 11 Apr 2022

Dongxu Chen, Ke Wu and Yifeng Zhu

Renmin University of China, Renmin University of China - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 421 (151,526)

Citation 7

Abstract:

7.

Taming the Global Factor Zoo *

Number of pages: 56 Posted: 13 Dec 2024

Jian Chen, Yufeng Han, Guohao Tang and Yifeng Zhu

Xiamen University - School of Economics, University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics and School of Finance, Central University of Finance and Economics

Downloads 380 (170,043)

Abstract:

8.

Liquidity in Cryptocurrency Market and Commonalities across Anomalies

Number of pages: 31 Posted: 23 Apr 2020 Last Revised: 01 Sep 2021

Bingbing Dong, Lei Jiang, Jinyu Liu and Yifeng Zhu

Central University of Finance and Economics (CUFE), Kent State University, University of International Business and Economics (UIBE) - School of Banking and Finance and School of Finance, Central University of Finance and Economics

Downloads 375 (172,604)

Citation 1

Abstract:

9.

A LASSO Type Factor Model in Cryptocurrency

Number of pages: 35 Posted: 14 May 2023 Last Revised: 20 Feb 2024

Jinchuan Li and Yifeng Zhu

Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 338 (193,460)

Abstract:

10.

Crude Oil Price Prediction: A Nonparametric Approach

26th Australasian Finance and Banking Conference 2013

Number of pages: 50 Posted: 23 Jul 2013 Last Revised: 25 Aug 2021

Yifeng Zhu

School of Finance, Central University of Finance and Economics

Downloads 314 (209,477)

Citation 1

Abstract:

11.

Quantile Based Lottery Measure and the Cross-Section of Stock Returns

Downloads 295 (224,032)

2

Quantile Based Lottery Measure and the Cross-Section of Stock Returns

Number of pages: 91 Posted: 01 Mar 2021 Last Revised: 31 Jan 2023

Jia Bi and Yifeng Zhu

School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 204 (321,863)

Abstract:

Quantile Based Lottery Measure and the Cross-Section of Stock Returns

Number of pages: 91 Posted: 07 Feb 2023

Jia Bi and Yifeng Zhu

School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 91 (623,751)

Abstract:

12.

Fama-Macbeth Least Angle Regression

Number of pages: 56 Posted: 10 Mar 2023 Last Revised: 11 Apr 2023

Yuanqi Yang and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 266 (249,268)

Abstract:

13.

Ridge-Bayesian Stochastic Discount Factors

Number of pages: 47 Posted: 24 Feb 2023 Last Revised: 10 Apr 2024

Esfandiar Maasoumi, Yuanqi Yang and Yifeng Zhu

Emory University, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 256 (259,134)

Abstract:

14.

Value at Risk, Cross-Sectional Returns and the Role of Investor Sentiment

Journal of Empirical Finance, Vol. 56, 2020

Number of pages: 49 Posted: 06 Nov 2018 Last Revised: 07 Jan 2020

Jia Bi and Yifeng Zhu

School of Finance, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 252 (263,273)

Citation 3

Abstract:

15.

A Comparison of Factor Models in China

Journal of Empirical Finance, volume 79, 2024[10.1016/j.jempfin.2024.101548]

Number of pages: 95 Posted: 14 Nov 2023 Last Revised: 21 Jan 2025

Jinzhe Wang and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 208 (317,146)

Abstract:

16.

What Drives the Tail Risk Effect in the Chinese Stock Market?

Number of pages: 51 Posted: 24 May 2021 Last Revised: 13 Mar 2023

Kaisi Sun, Hui Wang and Yifeng Zhu

Central University of Finance and Economics, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 200 (329,033)

Abstract:

17.

Salience Theory Based Factors in China

Number of pages: 20 Posted: 31 Jan 2023 Last Revised: 13 Apr 2023

Kaisi Sun and Yifeng Zhu

Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 194 (338,486)

Abstract:

18.

Stock Pledging by Individual Shareholders and Abnormal Returns: Evidence from China

Downloads 166 (389,292)

Citation 1

2

Stock Pledging by Individual Shareholders and Abnormal Returns: Evidence from China

Number of pages: 27 Posted: 06 Apr 2022

Pingshu Gui, Yang Yang and Yifeng Zhu

University of Chinese Academy of Social Sciences, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics

Downloads 112 (537,869)

Citation 1

Abstract:

Stock Pledging by Individual Shareholders and Abnormal Returns: Evidence from China

Number of pages: 27 Posted: 09 May 2022

Pingshu Gui, Yang Yang and Yifeng Zhu

University of Chinese Academy of Social Sciences, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics

Downloads 54 (839,349)

Abstract:

19.

When Short Sellers Do Not Short...

Number of pages: 47 Posted: 14 May 2024 Last Revised: 13 Nov 2024

Yifeng Zhu

School of Finance, Central University of Finance and Economics

Downloads 160 (402,002)

Abstract:

20.

Margin Trading and Stock Idiosyncratic Volatility: Evidence from the Chinese Stock Market

International Review of Economics & Finance, Forthcoming

Number of pages: 37 Posted: 12 Oct 2018 Last Revised: 30 Jan 2021

Pingshu Gui and Yifeng Zhu

University of Chinese Academy of Social Sciences and School of Finance, Central University of Finance and Economics

Downloads 143 (441,067)

Citation 3

Abstract:

21.

Large Transactions and the MAX Effect: Evidence from China

Number of pages: 42 Posted: 28 Mar 2022

Jia Bi, Pingshu Gui and Yifeng Zhu

School of Finance, Central University of Finance and Economics, University of Chinese Academy of Social Sciences and School of Finance, Central University of Finance and Economics

Downloads 139 (451,220)

Abstract:

22.

Value at Risk and the Cross-Section of Expected Returns: Evidence from China

Pacific-Basin Finance Journal, 66, 101498

Number of pages: 67 Posted: 27 May 2020 Last Revised: 24 May 2021

Pingshu Gui and Yifeng Zhu

University of Chinese Academy of Social Sciences and School of Finance, Central University of Finance and Economics

Downloads 131 (473,446)

Citation 7

Abstract:

23.

Rainbow Deep Reinforcement Learning in the Chinese Stock Market

Number of pages: 48 Posted: 11 Jul 2024 Last Revised: 13 Nov 2024

Jing Chen, Haoran Fu, Yushan Xue and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Statistics and Mathematics, Central University of Finance and Economics (CUFE), Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics

Downloads 102 (572,570)

Abstract:

24.

How Is the Change in Left-Tail Risk Priced in China?

Pacific-Basin Finance Journal, Vol. 71, No. 101703, 2022

Number of pages: 79 Posted: 18 Feb 2021 Last Revised: 11 Mar 2022

Kaisi Sun, Hui Wang and Yifeng Zhu

Central University of Finance and Economics, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 100 (580,594)

Citation 2

Abstract:

25.

(Re-)Imag(in)ing Price Trends in China Using Multi-Channel Grayscale Image CNN Models

Number of pages: 51 Posted: 24 Feb 2025

Jing Chen, Yushan Xue, Wei Zhao and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Statistics and Mathematics, Central University of Finance and Economics (CUFE), Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 95 (604,502)

Abstract:

26.

The Wage Premium of Naturalized Citizenship

Advances in Econometrics, 36:315-348, 2016.

Number of pages: 43 Posted: 12 Jun 2015 Last Revised: 06 Sep 2019

Esfandiar Maasoumi and Yifeng Zhu

Emory University and School of Finance, Central University of Finance and Economics

Downloads 93 (608,598)

Abstract:

27.

Does Stock Liquidity Explain the A-H Premium? Evidence from Chinese Cross-Listed Stocks

Number of pages: 45 Posted: 16 Jan 2025

Jun LIU, Kai Wu and Yifeng Zhu

Tilburg University - Tilburg University School of Economics and Management, Central University of Finance and Economics and School of Finance, Central University of Finance and Economics

Downloads 90 (625,487)

Abstract:

28.

Cracking the Code: Bayesian Evaluation of Millions of Factor Models in China

Number of pages: 47 Posted: 27 Feb 2025

Yan Qian, Jinzhe Wang, Lixia Wu and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics

Downloads 30 (1,045,376)

Abstract:

29.

Beyond L1 : Double L0 Regularization in Testing New Factors

Number of pages: 63 Posted: 16 Apr 2025

Jing Chen, Yihan Gao, Yushan Xue and Yifeng Zhu

Central University of Finance and Economics (CUFE) - School of Statistics and Mathematics, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics

Downloads 20 (1,178,167)

Yifeng Zhu

School of Finance, Central University of Finance and Economics

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